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Deposit Insurance in the European Union
Holá, Veronika ; Jakubík, Petr (advisor) ; Teplý, Petr (referee)
This thesis examines the question whether uncoordinated steps of some EU states changing their deposit insurance schemes in the middle of 2008 could have led to shifts of deposits among EU countries. The paper deals mainly with changes of the rules which were introduced at the end of year 2008, and concerns with the amended Directive on Deposit Guarantee Schemes. Empirical analysis concentrates on the impact of state guarantees on the deposit grow rate in individual states. In the final part, we discuss the consequences of recent development and possible future progress.
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Credit derivates and theis utilization in banks in the CR
Kysilko, Michal ; Dědek, Oldřich (advisor) ; Jakubík, Petr (referee)
The emergence of credit derivatives brought a crucial change to hedging and diversifying credit risk. Since then, credit derivatives have become a major investment tool as well. This paper investigates the credit derivatives supply of banks in the Czech republic. Considering the costingness of credit derivative products and its targeting to large institutional investors, it is quite obvious that these products are traded in a small volume in the CR. Only three banks offer credit derivatives here and they just re-sell products from their foreign partners. Generally, these products are stuctured credit products (i.e. CLNs and CDOs) that can be tailored to specific investors' needs. A credit default swap market does not exist in the CR at all. The question of future development here is the introduction of credit derivative products to retail banking which is of a great potential in the CR. Powered by TCPDF (www.tcpdf.org)
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Financial Stability Issues and Stress Testing of the Insurance Sector
Hauryliuk, Nadzeya ; Jakubík, Petr (advisor) ; Čech, František (referee)
The purpose of this thesis is to provide an overview of risk and vulnerabilities for financial stability of the European Insurance sector. The methods and principles of risk assessment are examined, as well as their application for the insurance sector. The current macroeconomic situation and its impact on insurers' financial stability is described. Downward changes of interest rates are identified as the biggest current risk. This results from a system-wide stress test conducted by EIOPA (European Insurance and Occupational Pensions Authority), analysis of sensitivities published by several big European Insurers published on a yearly basis and finally from an econometric analysis of the relationship between market data and changes in macroeconomic variables. Keywords financial stability, stress testing, insurance sector, insurance risks
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Credit issue.The Czech Republic Case.
Vaňková, Martina ; Jakubík, Petr (advisor) ; Václavík, Tomáš (referee)
This thesis deals with the development of the credit to private non-financial sector in the Czech Republic in the course of 1993 - 2008. The main purpose of this thesis was to analyse whether the non-financial private sector credit volume in the Czech Republic was excessive in the period under review. In order to do this, the equilibrium relation was estimated as based on the panel data for selected Euro zone countries. Accordingly, the out-of-sample estimate of the steady state of the ratio of non-financial private sector credit to GDP was done for the Czech Republic and selected CEE countries. A comparison of the actual non-financial private sector credit volumes and the estimated steady state has not proved an excessive indebtedness of non-financial private sector in the Czech Republic.
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Systemic Risks Assessment and Systemic Events Prediction: Early Warning System Design for the Czech Republic
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Doležel, Pavel (referee)
This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...
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Pricing methods and value of the firm
Moleková, Táňa ; Jakubík, Petr (advisor) ; Hájek, Filip (referee)
One of the main features of slowly passing financial and economic crisis has been the substantial drop of the value of assets held in form of stocks. The key issue for investors during this turbulent period was, whether to hold the stocks in the expectations of consequent regain of their value, or whether to look for safer and more profitable targets for allocation of capital. This is the question that is being asked also by the hundreds of professional as well as small investors and households, which are keeping their money in form of stocks of companies tradable at Prague Stock Exchange. Having in hand the information about the potential over- or undervaluation of the market price of these stock in relation to their intrinsic values based on true financial fundamentals can help them make the right decision. Finding the answers on these questions was set as a main goal of this rigorous thesis. The analysis, which of the theoretical concepts and stock valuation methods are the most successful in explaining the development of the actual stock prices for the companies listed in Prague Stock Exchange comes to the forefront. Different valuation models and econometric tools are tested on several companies in order to estimate the potential relationship between the actual and intrinsic value of these stocks as...
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Stress Testing of the Banking Sector in Emerging Markets A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
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The Impact of the Macroeconomic Environment on Insurance Companies
Čepeláková, Lenka ; Jakubík, Petr (advisor) ; Brechler, Josef (referee)
i Abstract: This thesis assesses the impact of economic, institutional and demographic factors on the life and non-life gross written premiums of insurance companies. A dynamic panel data regression using the system generalized method of mo- ments is applied on data of 29 European countries collected by EIOPA covering the period from 2005 to 2013. The results reveal that economic and institutio- nal factors drive both life and non-life insurance industry. On the other hand, we cannot confirm that demographic factors are significant determinants of the growth in GWPs. Subsequently, the hypothesis that there are substantial cross-countries differences among the importance of different macroeconomic determinants on the insurance sector development is explored and confirmed. This work shines new light on the development of the quantitative macro- prudential framework used to determine different economic scenarios affecting insurance companies' balance sheets. Moreover, a broader set of panel data and more variables explaining the growth in insurance sector bring new contributi- ons to the current discussion in academic literature.
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Financial Stress Transmission from Developed to Emerging Countries
Gavrilenco, Nicolae ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies MASTER THESIS Financial Stress Transmission from Developed to Emerging Countries Author: Bc. Nicolae Gavrilenco Supervisor: doc. Roman Horvàth, Ph.D. Academic Year: 2012/2013 Abstract In this research we have analyzed the financial system as it is today, describing the implications financial innovation had and the impact of the recent financial crisis. We tried to understand the nature of the financial stress and its measures. In the context of world financial integration it was also necessary to have a review upon the financial stress transmission channels from developed to emerging countries, determining the linkages and their measures. We employed a structural VAR model to determine whether there is empirical proof of financial Stress transmission from developed to emerging countries and see if financial integration represents the decisive factor in financial stress transmission. Our results suggest that there is a significant impact of financial stress in developed countries on the output of emerging ones. However we can observe an increasing influence of country-specific factors in explaining the variation in the rest of the variable of our model. The results also indicate the level of international financial...
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Implied market loss given default
Seidler, Jakub ; Jakubík, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions, and discuss its role in Basel II framework. Further, we illustrate how the LGD can be extracted from market observable information with help of both the structural and reduced-form models. Finally, by using the adjusted Mertonian approach, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. Keywords: loss given default, credit risk, structural models, reduced-form models JEL class: C02, G13, G33
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